Strong approximation for RCA(1) time series with applications

Alexander Aue

Statistics & Probability Letters, 2004, vol. 68, issue 4, 369-382

Abstract: In this paper, we derive a strong invariance principle for the partial sums of RCA(1) random variables. An application yields asymptotic tests for a change in the mean of the observations both for sequential and a posteriori procedures based on CUSUMs.

Keywords: RCA; time; series; Strong; invariance; principles; CUSUM; test; Sequential; procedure; a; posteriori; tests (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (4)

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